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Statistical Modeling of Monetary Policy and its Effects


  • Sims, Christopher A.

    (Princeton University)


Nobel Prize lecture, 8 December 2011

Suggested Citation

  • Sims, Christopher A., 2011. "Statistical Modeling of Monetary Policy and its Effects," Nobel Prize in Economics documents 2011-5, Nobel Prize Committee.
  • Handle: RePEc:ris:nobelp:2011_005

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    References listed on IDEAS

    1. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
    2. James Tobin, 1970. "Rejoinder," The Quarterly Journal of Economics, Oxford University Press, vol. 84(2), pages 328-329.
    3. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
    4. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
    5. Mehra, Yash P, 1978. "Is Money Exogenous in Money-Demand Equations," Journal of Political Economy, University of Chicago Press, vol. 86(2), pages 211-228, April.
    6. James Tobin, 1970. "Money and Income: Post Hoc Ergo Propter Hoc?," The Quarterly Journal of Economics, Oxford University Press, vol. 84(2), pages 301-317.
    7. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
    8. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, September.
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    Cited by:

    1. Richard T. Froyen & Alfred V. Guender, 2017. "What to Aim for? The Choice of an Inflation Objective when Openness Matters," Open Economies Review, Springer, vol. 28(1), pages 167-190, February.
    2. Harrison, Richard, 2015. "Estimating the effects of forward guidance in rational expectations models," European Economic Review, Elsevier, vol. 79(C), pages 196-213.
    3. Tapia, Jose, 2015. "Profits encourage investment, investment dampens profits, government spending does not prime the pump — A DAG investigation of business-cycle dynamics," MPRA Paper 64698, University Library of Munich, Germany.
    4. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
    5. Christopher A. Sims, 2013. "Comment on "Dormant Shocks and Fiscal Virtue"," NBER Chapters,in: NBER Macroeconomics Annual 2013, Volume 28, pages 59-64 National Bureau of Economic Research, Inc.
    6. Belanger, Gilles, 2014. "The Overlooked Assumption Behind the New Keynesian Phillips Curve," MPRA Paper 55629, University Library of Munich, Germany.
    7. repec:wsi:serxxx:v:62:y:2017:i:01:n:s0217590817400045 is not listed on IDEAS

    More about this item


    Causation; Macroeconomics;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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